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[eng] As a result of the process of convergence relative to higher education initiated in Bologna in 1999, the role of the University in the society is undergoing a profound transformation. The traditional paradigm, according to which the University is the point of departure for constructing knowledge at the highest level, is now under consideration in order to accommodate more vocational training studies, which include the acquisition of competencies as a central pillar. Nevertheless, two of the main actors that play a role in the process, academics and entrepreneurs, have different points of view with respect to the skills a graduate entering the labor market should have. Based on the results from a survey conducted at the University of Barcelona, we will show how firms turn in favor of competencies related to medium-short term productivity, whereas the university balks at setting aside knowledge with more scientific nature. This scenario reinforces the need of a deeper dialogue between University and firms, pointing out the benefits that some adjustments in college training may end up providing the society. [cat] Com a resultat del procés de convergència en relació amb l'educació superior iniciat a Bolonya el 1999, el paper de la Universitat en la societat està experimentant una profunda transformació. El paradigma tradicional, segons el qual la Universitat és el punt de partida per construir coneixements al més alt nivell, s'està estudiant ara per donar cabuda a més estudis de formació professional, que inclouen l'adquisició de competències com a pilar central. No obstant això, dos dels principals actors que juguen un paper en el procés, acadèmics i emprenedors, tenen punts de vista diferents respecte a les competències que ha de tenir un graduat que entra en el mercat laboral. A partir dels resultats d'una enquesta realitzada a la Universitat de Barcelona, mostrarem com les empreses es giren a favor de competències relacionades amb la productivitat a mitjà-curt termini, mentre que la universitat aposta per deixar de banda el coneixement amb més caràcter científic. Aquest escenari reforça la necessitat d'un diàleg més profund entre la Universitat i les empreses, assenyalant els beneficis que alguns ajustos en la formació universitària poden acabar aportant a la societat. [spa] Como resultado del proceso de convergencia relativa a la educación superior iniciado en Bolonia en 1999, el papel de la Universidad en la sociedad está experimentando una profunda transformación. El paradigma tradicional, según el cual la Universidad es el punto de partida para construir el conocimiento al más alto nivel, está ahora en consideración para dar cabida a más estudios de formación profesional, que incluyen la adquisición de competencias como pilar central. Sin embargo, dos de los principales actores que juegan un papel en el proceso, académicos y empresarios, tienen diferentes puntos de vista con respecto a las habilidades que debe tener un graduado que ingresa en el mercado laboral. A partir de los resultados de una encuesta realizada en la Universidad de Barcelona, mostraremos cómo las empresas están a favor de las competencias relacionadas con la productividad a medio-corto plazo, mientras que la universidad se resiste a dejar de lado el conocimiento con carácter más científico. Este escenario refuerza la necesidad de un diálogo más profundo entre la Universidad y las empresas, señalando los beneficios que algunos ajustes en la formación universitaria pueden acabar aportando a la sociedad.

We estimate Growth-at-Risk (GaR) statistics for the US economy using daily regressors. We show that the relative importance, in terms of forecasting power, of financial and real variables is time varying. Indeed, the optimal forecasting weights of these types of variables were clearly different during the Global Financial Crisis and the recent Covid-19 crisis, which reflects the dissimilar nature of the two crises. We introduce the LASSO and the Elastic Net into the family of mixed data sampling models used to estimate GaR and show that these methods outperform past candidates explored in the literature. The role of the VXO and ADS indicators was found to be very relevant, especially in out-of-sample exercises and during crisis episodes. Overall, our results show that daily information for both real and financial variables is key for producing accurate point and tail risk nowcasts and forecasts of economic activity.

Using a high-frequency framework, we show that the Auroba-Diebold-Scotti (ADS) daily business conditions index significantly increases the accuracy of U.S. unemployment nowcasts in real-time. This is of particular relevance in times of recession, such as the Global Financial Crisis and the Covid-19 pandemic, when the unemployment rate is prone to rise steeply. Based on our results, the ADS index presents itself as a better predictor than the financial indicators widely used by the literature and central banks, including both interest and credit spreads and the VXO.

Previous studies in energy stock markets have analyzed market connectedness using aggregate indexes and focusing on developed markets. We depart from the extant literature and we focus our attention on companies listed on emerging stock markets and examine connectedness from the firm’s perspective. Using a two-step approach, we remove the common global factors from energy stock returns and estimate the network of global energy stocks in emerging markets. We show that idiosyncratic components are highly relevant for our understanding of risk transmission in energy markets. Moreover, we offer precise diversification alternatives and identify the most systemically important firms and countries.

Com a resultat del procés de convergència en relació amb l'educació superior iniciat a Bolonya el 1999, el paper de la Universitat en la societat està experimentant una profunda transformació. El paradigma tradicional, segons el qual la Universitat és el punt de partida per construir coneixements al més alt nivell, s'està estudiant ara per donar cabuda a més estudis de formació professional, que inclouen l'adquisició de competències com a pilar central. No obstant això, dos dels principals actors que juguen un paper en el procés, acadèmics i emprenedors, tenen punts de vista diferents respecte a les competències que ha de tenir un graduat que entra en el mercat laboral. A partir dels resultats d'una enquesta realitzada a la Universitat de Barcelona, mostrarem com les empreses es giren a favor de competències relacionades amb la productivitat a mitjà-curt termini, mentre que la universitat aposta per deixar de banda el coneixement amb més caràcter científic. Aquest escenari reforça la necessitat d'un diàleg més profund entre la Universitat i les empreses, assenyalant els beneficis que alguns ajustos en la formació universitària poden acabar aportant a la societat., As a result of the process of convergence relative to higher education initiated in Bologna in 1999, the role of the University in the society is undergoing a profound transformation. The traditional paradigm, according to which the University is the point of departure for constructing knowledge at the highest level, is now under consideration in order to accommodate more vocational training studies, which include the acquisition of competencies as a central pillar. Nevertheless, two of the main actors that play a role in the process, academics and entrepreneurs, have different points of view with respect to the skills a graduate entering the labor market should have. Based on the results from a survey conducted at the University of Barcelona, we will show how firms turn in favor of competencies related to medium-short term productivity, whereas the university balks at setting aside knowledge with more scientific nature. This scenario reinforces the need of a deeper dialogue between University and firms, pointing out the benefits that some adjustments in college training may end up providing the society., Como resultado del proceso de convergencia relativa a la educación superior iniciado en Bolonia en 1999, el papel de la Universidad en la sociedad está experimentando una profunda transformación. El paradigma tradicional, según el cual la Universidad es el punto de partida para construir el conocimiento al más alto nivel, está ahora en consideración para dar cabida a más estudios de formación profesional, que incluyen la adquisición de competencias como pilar central. Sin embargo, dos de los principales actores que juegan un papel en el proceso, académicos y empresarios, tienen diferentes puntos de vista con respecto a las habilidades que debe tener un graduado que ingresa en el mercado laboral. A partir de los resultados de una encuesta realizada en la Universidad de Barcelona, mostraremos cómo las empresas están a favor de las competencias relacionadas con la productividad a medio-corto plazo, mientras que la universidad se resiste a dejar de lado el conocimiento con carácter más científico. Este escenario refuerza la necesidad de un diálogo más profundo entre la Universidad y las empresas, señalando los beneficios que algunos ajustes en la formación universitaria pueden acabar aportando a la sociedad.

We study the international propagation of financial conditions from the United States to global financial markets. The impact is highly heterogeneous alongside the quantiles of the distribution of the two major funding sources, credit and equity. Indeed, it is greater on the lower quantiles, which means that analogous to vulnerable growth episodes, examined by the past literature, there exist as well vulnerable funding periods of a global scale, originated from financial weakness in the US. These episodes are related to downside risk in terms of credit creation and firms’ market value around the world. Our estimates differentiate between first and second moment (i.e. uncertainty) shocks to financial conditions. This distinction proves to be relevant as it uncovers a complex propagation of shocks via different economic channels. On the one hand, credit growth largely responds to first moment shocks of US financial conditions four quarters after their occurrence, which is consistent with a credit view explanation of the transmission. On the other hand, stock markets react more sensitively and rapidly (mainly within a quarter) to second moment shocks, which can be theoretically associated with a portfolio channel underlying the shocks spread. We also document a heterogeneous impact across countries. In the case of credit growth this heterogeneity is better explained by the size or depth of the markets, while in the case of stock markets, the explanation is rooted on the strength of the financial connectedness with the US.

By distinguishing between four general notions of uncertainty (good expected, bad-expected, good-unexpected, bad-unexpected) within a common and simple framework, we show that it is bad-unexpected uncertainty shocks that generate a negative reaction of macroeconomic variables (such as investment and consumption), and asset prices. Other notions of uncertainty might produce even positive responses in the macroeconomy. We also show that small uncertainty shocks might have larger impacts on economic activity and financial markets than bigger shocks between one to three years after its realization. We explore the time and magnitude of uncertainty shocks by means of a novel distributed lag nonlinear model. Our results help to elucidate the real and complex nature of uncertainty, which can be both a backward or forward-looking expected or unexpected event, with markedly different consequences for the economy. They have implications for policy making, asset pricing and risk management.

This study examines the dynamic linkages between commonality in liquidity in international stock markets and market volatility. Using a recently proposed liquidity measure as input in a variance decomposition exercise, we show that innovations to liquidity in most markets are induced predominately by inter-market innovations. We also find that commonality in liquidity peaks immediately after large market downturns, coinciding with periods of crisis. The results from a dynamic Granger causality test indicate that the relationship between commonality in liquidity and market volatility is bi-directional and time-varying. We show that while volatility Granger-causes commonality in liquidity throughout the entire sample period, market volatility is enhanced by commonality in liquidity only in sub-periods. Our results are helpful for practitioners and policy makers.

Recent literature has shown that international financial integration facilitates cross-country consumption risk sharing. We extend this line of research and demonstrate that the decomposition of financial integration into good and bad plays an important role. We also propose new measures of countries’ capital market integration, based on good and bad volatility shocks, as well as country specific indices of consumption risk sharing. We document a decoupling of individual consumption growth from global risk sharing after episodes of negative cross-spillovers, and a recoupling after positive spillovers. Our results support current views in the literature that advocate for an asymmetric treatment of good and bad volatility shocks, in order to assess the macroeconomic dynamics that follow risk episodes. They also challenge previous views in the literature that present capital market integration (without differentiating between positive and negative shocks) as a prerequisite for higher international consumption risk sharing. Overall, they cast doubts on the actual scope for consumption risk sharing across global financial markets.

La millora competencial és en l'actualitat el gran eix vertebrador de la formació que, juntament amb l'adquisició de coneixements, contribueix al correcte exercici professional dels graduats. A partir d'una experiència duta a terme en el grau d'Estadística UB-UPC, es mostra de quina manera l'adquisició de competències transversals i una actitud proactiva cap a l'estudi reverteixen en una millora del rendiment acadèmic. No obstant, no totes les competències treballades tenen repercussió en la nota final de l'estudiant. Això ha d'alertar al docent de la necessitat de transmetre-les millor i de dissenyar estratègies d'avaluació que les contemplin., La mejora competencial es en la actualidad el gran eje vertebrador de la formación que, junto con la adquisición de conocimientos, contribuye al correcto desempeño profesional de los graduados. A partir de una experiencia llevada a cabo en el grado de Estadística UB-UPC, se muestra de qué modo la adquisición de competencias transversales y una actitud proactiva hacia el estudio revierten en una mejora del rendimiento académico. Sin embargo, no todas las competencias trabajadas tienen repercusión en la nota final del estudiante. Ello debe alertar al docente de la necesidad de transmitirlas mejor y de diseñar estrategias de evaluación que las contemplen., The skills improvement is now the great backbone of education. Along with the acquisition of knowledge they contribute to the proper professional performance of graduates. From an experience conducted in the degree of Statistics UB-UPC it is shown how the acquisition of transversal skills together with a proactive attitude towards the study contributed to improve the academic performance of students. However, not all well-crafted skills had a positive impact on the student's final grade. This should alert the lecturer of the need to better transmit these skills and design assessment strategies including them.

Projecte 2013PID-UB/004, Se ha llevado a cabo una encuesta a estudiantes del Grado de Estadística UB-UPC para detectar variables que tienen incidencia sobre su rendimiento académico. Además de las características demográficas y de su formación previa, la actitud proactiva hacia el estudio, la participación en clase, la atención y el compromiso en los trabajos en equipo, entre otras variables, parecen tener un impacto positivo y muy significativo sobre la calificación final., PMID - Universitat de Barcelona, projecte 2013PID-UB/004.

We aimed to analyze the evolution over time and the seasonality of outcomes of nonrandom alcohol concentration breath tests performed on drivers at sobriety checkpoints in Catalonia (Spain) from 2005 to 2012. Differences by gender are also explored.

We study the complexity of computing the Banzhaf index in incompatibility games. We show: 1) weak #P-completeness for computing the index when the incompatibility graph has very few maximal independent sets, 2) strong #P-completeness if the incompatibility graph is co-planar and perfect, 3) weak NP-completeness for deciding whether the index is non-zero when the incompatibility graph has few maximal independent sets. Finally, we discuss the possible existence of pseudopolynomial time algorithms to compute the index for some classes of incompatibility graphs.

Els índexs d'estrés financer són un tipus d'indicadors que busquen donar una visió global sobre la situació de risc del sistema financer, al integrar en un sol estadístic un conjunt d'indicadors individuals que medeixen el risc existent dins d'un determinat segment del sistema financer. En aquest projecte explorem les interdependències del risc sistèmic entre les diferents potències europees i entre les tres principals potències financeres globals: Xina, Europa i Estats Units. A més, implementem una red Long Short-Term Memory (LSTM) per a predir aquests índexs d'estrés financers en tres horitzons de temps diferents, i comparem els nostres resultats amb models clàssics econométricos com els ARMA-GARCH. Los índices de estrés financiero son un tipo de indicadores que buscan dar una visión global sobre la situación de riesgo del sistema financiero, al integrar en un solo estadístico un conjunto de indicadores individuales que miden el riesgo existente dentro de un determinado segmento del sistema financiero. En este proyecto exploramos las interdependencias del riesgo sistémico entre las distintas potencias europeas y entre las tres principales potencias financieras globales: China, Europa y Estados Unidos. Además, implementamos una red Long Short-Term Memory (LSTM) para predecir tales índices de estrés financiero en tres horizontes de tiempo diferentes, y comparamos nuestros resultados con modelos econométricos clásicos como los ARMA-GARCH. Financial stress indices are a type of indicators that seek to provide an overall vision about the risk situation of the financial system, by comprising into a single statistic a set of individual indicators that measure, in some way, the existing risk within a certain segment of the financial system. In this project we explore the interdependencies of systemic risk between the different European powers and between the three main global financial powers: China, Europe and United States. Furthermore, we implement a Long Short-Term Memory (LSTM) network to predict such financial stress indices at three different time horizons, and compare our findings with classical econometric approaches such as ARMA-GARCH models.

Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2021-2022, Tutor: Helena Chuliá Soler ; Marta Goméz Puig, In this paper it’s proposed an analytical study of the economical European environment, focusing into credit and insurance sectors. Measuring the volatility connectedness of a sample composed by insurance and credit firms, using the variance decomposition approach, it’s pretended to, in first term, analyse if the economic and political grade of integration in the European Union has been implemented into this sectors, and also study the evolution of these measures as a historical series, in aim to understand better how the economic cycle and different extraordinary or significant events affects to the connectedness levels.

El objetivo de esta tesis consiste en analizar cómo se propaga la percepción idiosincrática del riesgo político en las compañías pertenecientes a una gran red de empresas representativa de los distintos sectores que conforman la economía de Estados Unidos. Se utilizan dos métodos distintos para determinar la existencia de transmisión de riesgo político entre las distintas empresas. En primer lugar, se utiliza un algoritmo basado en Lasso, el cual recibe el nombre de Nets, para estimar un modelo VAR grande y escaso, cuyos coeficientes establecen la transmisión de riesgo político entre las empresas. En segundo lugar, se realizan tests de causalidad en el sentido de Granger para determinar la existencia de transmisión de riesgo político entre las 1.099 empresas de la red. Finalmente, esta red se caracteriza mediante distintos estadísticos de riesgo, los cuales incluyen el número de conexiones entrantes, salientes y totales de cada empresa y la centralidad del vector propio.

Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2020-2021, Tutor: Helena Chuliá, El trabajo final de master se centra en el análisis de la relación lineal y no lineal entre los precios de commodities, los cuales han ido ganando fuerza e importancia en el mercado financiero internacional en las últimas décadas, y el índice bursátil S&P 500 de los Estados Unidos, siendo los commodities estratégicos escogidos en el análisis, el oro, el cobre, el petróleo crudo, el trigo y el algodón. Para ello, recurriremos desde un enfoque lineal al modelo DCC-GARCH. Mediante este modelo obtendremos las correlaciones condicionales y realizaremos un análisis comparativo de las mismas centrándonos especialmente en la crisis financiera del 2008 y la crisis del COVID-19. Por otro lado, utilizaremos el modelo de regresión cuantílica para medir la relación no lineal entre el S&P 500 y los precios de los commodities. Abstract The final master thesis focuses on the analysis of the linear and non-linear relationship between commodities prices, which have attracted considerable interest in the international financial market in recent decades and the S&P 500 stock index of the United States, being the strategic commodities chosen in the analysis, gold, copper, crude oil, wheat and cotton. For that purpose, we will use the DCC-GARCH model as a linear approach. By using this model, we will obtain the conditional correlations and we will carry out a comparison of them, focusing on the financial crisis of 2008 and the crisis of the COVID-19. On the other hand, we will use the quantile regression to measure the non-linear relationship between the S&P 500 the commodity prices.

The purpose of this project is to create a predictive model capable of doing accurate predictions to measure the Delta Price. To do so, another indicator is needed, which is called Price Elasticity, that measures the change percentage of the demanded quantity over the change percentage price. In the view of calculating the Price Elasticity, two elements are required: price and quantity. For this study, three different approaches will be implemented and compared. The model prediciting the best will be used to calculate the future Price Elasticity, which then will be used to Recommend the Delta Price.

Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2019-2020, Tutoria: Helena Chulià, El trabajo final de máster se centra en el análisis de los activos verdes, los cuales han tenido una mayor presencia en el ámbito financiero durante los últimos años. Se propone un análisis de la correlación y el riesgo de este tipo de activos para analizar su comportamiento y compararlos respecto a los activos tradicionales. Para ello, se utilizará un modelo DCC-GARCH a partir del cual estimaremos la correlación y el riesgo.

[eng] This dissertation contributes to a better understanding of liquidity in financial markets. Relying on the latest proxies for liquidity and TAQ benchmark data, this dissertation investigates liquidity in financial markets from different perspectives and gives answers to crucial challenges when assessing the importance of liquidity; its time-varying commonality across assets and stock markets; its impact on asset pricing in abnormal market states and finally its dynamics and determinants on a daily basis. This study has implications for investors and market makers as part of risk management and portfolio diversification and for policy makers in the context of designing optimal regulatory frameworks to predict and prevent common sources of liquidity tightness in global financial markets. In the second chapter, I study commonality in liquidity and its association to market volatility. Taking on a global perspective on this matter and examining nine major stock markets, I first construct a novel and dynamic measure of commonality in liquidity. I show that liquidity commonality is present in global stock markets and increases parallel to crisis periods. This finding points towards abrupt changes in liquidity fundamentals and clearly provide evidence for demand- and supply-driven sources of commonality in liquidity (i.e. correlated trading behavior on institutional level paired with restrictions on funding capital) on a global scale. Driven by the well acknowledged findings of a positive relationship between volatility and illiquidity, I investigate the time-varying tie between common variation in liquidity and volatility. Using a dynamic granger-causality test, I find that global market volatility always causes commonality in liquidity while commonality in liquidity causes volatility only in sub-periods, spanning over the financial crisis and its aftermath period. In the third chapter, I examine the effect of systemic liquidity risk as a priced risk factor in asset pricing. Hereby, I challenge the previous literature in their finding of a linear relationship between systemic liquidity risk and asset prices. I show that systemic liquidity risk is not always a priced factor in the explanation of asset prices. I find that systemic liquidity risk and asset prices are negatively associated in bad market states. This finding can be explained by downward trended liquidity spirals, in other words, an interaction between demand and supply-sided commonality in liquidity, which cause a depression in asset pricing during bad market states. I also show that liquidity risk has a positive link to asset pricing in good market states, which is mainly associated with search-for-yield considerations. Finally, I document that there is no significant relationship between systemic liquidity risk and asset pricing during normal market swings. This finding supports the initial claim that market participants do not worry too much about the state of market-wide liquidity during regular times. In the fourth chapter, I investigate daily liquidity and trading activity of energy stocks traded at U.S. stock exchanges, categorized into five energy sectors, that is, oil and gas, coal mining, renewables, electric- and multi-utilities. Using TAQ (trades and quotes) data, I examine various dimensions of liquidity and trading – effective spreads, price impact of trades, number of trades and volume – on sectoral level. I document cross-sectional differences in the level of liquidity and trading across energy stock segments. I find that liquidity and trading is trended and exhibit serial dependency up to higher lags, similarly across sectors. There is a weekly pattern for trading and liquidity, both decline on Fridays, on average. I also identify a number of factors that affect trading and liquidity commonly across sectors, that is, general market movements, short-term momentum runs and overall stock market volatility, which points again towards the direction of correlated trading, amplified by institutional investors. Moreover, I show that trading and liquidity are sensitive to a widening Term Spread. I find a heterogeneous effect of the oil price on liquidity and trading activity, dependent on the energy segment. Despite controlling for stock market volatility, I observe that illiquidity and trading increase with higher levels of oil price volatility. Finally, I show that trading activity, both, in number of trade executions and share volume, increases for renewable and multi-utility stocks when climate change receives global media attention. Fast markets and increased trading make liquidity to be one of the top considerations in the smooth functioning of financial markets, especially in the light of financial distress and sudden, downward trended liquidity spirals, where liquidity adjusts to different equilibria levels. For future discussion, there is further need to address liquidity in its different dimensions and in the context of financial market quality, information efficiency and sentiment. This dissertation is yet another step for a more comprehensive knowledge on liquidity.

In this thesis, we study on the one hand, the Economic and Policy Uncertainty (EPU) indexes for China, Hong Kong (region) and the United States; on the other hand, the Stock market indexes in these three markets and their corresponding indexes are the SSEC index, the HSI and the S&P 500 respectively. We not only apply the Box-Jenkins methodology to analyze time series datasets, but also apply the Dynamic Conditional Correlation (DCC) model to estimate the conditional correlation between these three analyzed markets. We use the EPU index for China as a reference, as well as the SSEC index. First, we compare the EPU index for China with EPU index for Hong Kong (region) and the United States. Afterward, we compare the SSEC index with the HSI and the S&P 500. Finally, we try to find a relationship between EPU indexes and their corresponding stock market indexes.

El objetivo principal de este trabajo es explorar el comportamiento de la estrategia de pair trading utilizando el método de cointegración fraccional propuesto por Johansen (2012), para seleccionar los pares de activos. A cada par se le aplica el método de cointegración fraccional y aquellos que demuestran que están cointegrados fraccionalmente pasan directamente a formar parte de la estrategia. Una vez se han determinado todos los pares cointegrados, se calculan los rendimientos que se obtienen para cada par durante los diferentes períodos de negociación aplicándoles la estrategia de pair trading. Con el fin de mejorar la interpretación de los resultados obtenidos, los pares cointegrados fraccionalmente se agrupan en cinco carteras utilizando como criterio de ordenación el grado de cointegración de cada par. Adicionalmente, se analiza cuál es el efecto de diferentes factores de riesgo (factores de Fama y French, la volatilidad realizada, la liquidez y el estado de mercado) sobre el rendimiento de las carteras.

[eng] This thesis adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, I study the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market. I show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, “Measuring Uncertainty in the Stock Market”, I propose a new index for measuring stock market uncertainty on a daily basis. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, I analyze the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others. In chapter 4: “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?”, I explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, I provide a new simple tool for measuring the resilience of financial institutions to these systemic shocks. My contribution to the literature in this essay is mainly the examination of the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is new to the literature and is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, “Currency downside risk, liquidity, and financial stability”, I analyze downside risk propagation across global currency markets and the ways in which it is related to liquidity. I make two primary contributions to the literature. First, I estimate tail-spillovers between currencies in the global FX market. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, I show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled “Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis”. This essay contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. I focus the analysis carried out in this chapter on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. I documented smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles., [spa] En esta tesis se exploran formas óptimas de medir la incertidumbre macroeconómica y sus impactos sobre la actividad económica y los mercados financieros; así como la propagación internacional del riesgo en los mercados de acciones y de divisas. En el primer capítulo de la tesis se muestra que los retornos de las estrategias de inversión basadas en extrapolar los ganadores y perdedores recientes en el mercado, con el fin de decidir en que títulos invertir en el futuro (momentum), son susceptibles al nivel de incertidumbre registrado en la economía. Cuando la incertidumbre es alta, este tipo de inversiones se vuelven sumamente riesgosas y poco rentables, y por tanto no son recomendables. En el segundo capítulo de la tesis se propone un índice de incertidumbre construido con retornos diarios del mercados de acciones, el cual presenta mejores propiedades que otras alternativas en la literatura. Se utiliza este índice para mostrar las dinámicas macroeconómicas que siguen a un choque de incertidumbre, las cuales son examinadas a la luz de la literatura teórica al respecto. En el tercer capítulo de la tesis se examinan la propagación de la incertidumbre y el riesgo sistémico a las entidades bancarias globales, se estima un modelo de riesgo sistémico que permite mostrar como la propagación del riesgo ha permanecido estable durante las últimas décadas, y además, permite ofrecer nuevas listas de instituciones financieras vulnerables ante los choques de naturaleza sistémica en el mercado, que complementan las que actualmente existen en la literatura y en la práctica regulatoria. En el cuarto capítulo de la tesis se propone un indicador de estabilidad financiera para el mercado de divisas. Tal indicador se basa en el análisis de los cuantiles de depreciación del mercado de divisas, que por definición son de mayor interés para los reguladores, en cuanto está relacionados con las posibilidades de crisis cambiarias. Las asimetrías en la propagación de choques internaciones que se registran durante las depreciaciones (en comparación con los periodos de apreciación) se analizan a la luz del factor de liquidez en el mercado. En el quinto y último capítulo se analiza el efecto choques provenientes del mercado de acciones de Estados Unidos, sobre 6 mercados maduros y seis mercados emergentes de Latino América. Se muestra que la propagación depende del momento en el que se encuentre el mercado al momento de registrarse el choque (al alza o a la baja) y se proponen estrategias de diversificación internacional de portafolios de activos financieros.

In this master thesis, we investigate the directional connectedness between insurance companies from USA and Europe over the period 2000 to 2015. We perform a static and dynamic analysis to measure volatility connectedness in the entire period using a framework proposed by Diebold and Yilmaz (2012 and 2014). The findings of this study suggest the following empirical regularities. First, there exists large time-varying volatility connectedness across the insurance companies analysed, fluctuating between 71 \% and 95 \%. Second, during the subprime and financial crises and during the European Sovereign debt crisis, volatility connectedness has reached unprecedented levels. Third, volatility spillovers within each group, USA and Europe, are higher than the trans-Atlantic spillovers. Furthermore, in general, connectedness within USA companies is higher than within the European ones and, spillovers from USA to Europe are higher than the other way round. Finally, the volatility connectedness network shows that companies group together according to their origin and confirm that all the insurance companies in the sample are interrelated but trans-Atlantic connectedness is weaker.